Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

DOI10.1016/j.spa.2007.01.001zbMath1116.62025OpenAlexW1968645329MaRDI QIDQ2642035

Christian Francq, Jean-Michel Zakoian

Publication date: 20 August 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.01.001

zbMATH Keywords

conditional heteroskedasticityGARCH modelquasi-maximum likelihood estimationboundary of the parameter spacenon-normal asymptotic distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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